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Two-Scale Asymptotics for Stochastic Volatility Models

  • N. Svanstedt
Conference paper
Part of the Mathematics in Industry book series (MATHINDUSTRY, volume 1)

Keywords

Invariant Measure Stochastic Volatility Stochastic Volatility Model Stochastic Average Risk Free Interest Rate 
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References

  1. 1.
    Bourgeat, A. and Mikelic, A. (1994) Stochastic two-scale convergence in the mean and applications. J. Reine angew.Math., 456, 19 - 51.MathSciNetzbMATHGoogle Scholar
  2. 2.
    Hull, j. and White, A. (1987) The picing of Options on Assets with Stochastic Volatilities. J. Finance, XLII(2), 281 - 300.Google Scholar
  3. 3.
    Nguetseng, G. (1989) General Convergence Result for Functionals Related to the Theory of Homogenization. SIAM J. Math. Anal., 20, 608 - 623.MathSciNetzbMATHCrossRefGoogle Scholar
  4. 4.
    Papanicolaou, G.C. and Sircar, K.R. (1999) Stochastic volatility, smile and asymptotics. Applied Mathematical Finance, 6, 107 - 145.zbMATHCrossRefGoogle Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2002

Authors and Affiliations

  • N. Svanstedt
    • 1
  1. 1.Department of MathematicsChalmers University and Göteborg UniversityGöteborgSweden

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